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Credit Crises, Risk Management Systems and Liquidity Modelling

Author

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  • Frank Milne

    () (Queen's University)

Abstract

This paper explores the theoretical structure and implementation of Risk Management systems in Financial Institutions. It uses the current credit crisis as a test of the model's deficiencies. The paper suggests possible modifications to these systems to allow for "liquidity" in asset trading. Also the paper links these modifications to the theory of banking and financial crises and suggests possible ways in which regulators and central banks may exploit or modify RM systems to test for systemic risks.

Suggested Citation

  • Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
  • Handle: RePEc:jdi:wpaper:1
    as

    Download full text from publisher

    File URL: http://jdi.econ.queensu.ca/Working_Papers/papers/jdi_wp_1.pdf
    File Function: First version 2008
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Diana Bonfim & Moshe Kim, 2012. "Liquidity risk in banking: is there herding?," Working Papers w201218, Banco de Portugal, Economics and Research Department.
    2. Diana Bonfim & Moshe Kim, 2012. "Systemic Liquidity Risk," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.

    More about this item

    Keywords

    Credit Risk; Risk Management; Liquidity;

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets

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